Deutsche Bank AG Johannesburg Pillar 3 Disclosure · Deutsche Bank Group: South Africa Deutsche...

Deutsche Bank AG JohannesburgPillar 3 DisclosureFor the year ended 31 December 2017

Deutsche BankRisk & Capital Management

ContentsPage

Overview 1

Deutsche Bank Group: Our organisation 2

Deutsche Bank Group: South Africa 2

Financial position 3

Capital composition 5

Leverage position 6

Risk management overview 7

Credit risk 9

Liquidity risk 14

Operational risk 16

Market risk 18

Interest rate risk in the banking book 20

Remuneration 21

Glossary of risk terms and definitions 23

Acronyms and abbreviations 25

Deutsche BankPillar 3 disclosure

OverviewThe following information is compiled in terms of the requirements of the Banks Act 1990 (as amended) and Regulation 43(1)(e)(iv) and 43(2) of the Banking Regulations, whereby banks (including foreign branches) are obliged to report certain qualitative and quantitative information with regards to their risk profile and capital adequacy on a regular basis to the public, which incorporates the revised Basel III Pillar 3 requirements on market discipline.

Reporting frameworkThe information disclosed in this report is based on the definitions, calculation methodologies and measurements as defined by the Amended Regulations. All tables, diagrams, quantitative information and commentary in this risk and capital management report are unaudited unless otherwise noted.

References to fixed format templates as required under the revised Pillar 3 disclosure requirements are made throughout this document and highlighted in the relevant sections.

Period of reportingThis report is in respect of the year ended 31 December 2017, including comparative information (where applicable) for the year ended 31 December 2016.

Group disclosuresThe Group employs a predominantly centralised approach to risk management. As such, Deutsche Bank Johannesburg’s (DBJ’s) approach to risk management follows Group policies and procedures as a minimum standard. Where local requirements differ from Group’s, a local policy/procedure is formulated and adopted. This report should thus be read in conjunction with the Group’s management report. Where appropriate this document provides links to the Deutsche Bank AG reports for the year ended 31 December 2017 which can also be found directly at:

Management reporthttps://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_management_report.pdf

Risk reporthttps://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf

Compensation reporthttps://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_compensation_report.pdf

Pillar 3 reporthttps://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_pillar_3.pdf

1Deutsche BankPillar 3 disclosure

Deutsche Bank Group: South Africa

Deutsche Bank Group: Our organisationHeadquartered in Frankfurt am Main, Germany, we are the largest bank in Germany and one of the largest financial institutions in Europe and the world, as measured by total assets of €1 475 billion as of 31 December 2017. As of that date, we employed 97 535 people on a full-time equivalent basis and operated in 60 countries out of 2 425 branches worldwide, of which 85% were in Germany. We offer a wide variety of investment, financial and related products and services to private individuals, corporate entities and institutional clients around the world.

As of 31 December 2017 we were organised into the following three corporate divisions: — Corporate and investment banking (CIB) — Private and commercial clients (PCB) — Deutsche asset management (DAM).

The three corporate divisions are supported by infrastructure functions. In addition, we have a regional management function that covers regional responsibilities worldwide. In line with our targets originally announced from 2017 onwards, the non-core operations unit (NCOU) will cease to exist as a separate corporate division of the Group from 2017 onwards.

HistoryDeutsche Bank has been represented in South Africa since 1979 and expanded its presence in 1995 through the acquisition of local stockbroker Ivor Jones, Roy & Co. Deutsche Bank AG then went on to establish a branch in Johannesburg in 1998 – Deutsche Bank AG Johannesburg Branch.

The South African branch offers a full range of competitive products and services focusing on fixed income and repos, foreign exchange, interest rate derivatives, loans and deposits, securities lending and equity derivatives.

Branch managementThe members of the branch management during the year and up to the date of this report are:

— M Ismail — B Landman — M Dowie*.

* Non-voting member.

2 Deutsche BankPillar 3 disclosure

Financial positionIn terms of the requirements of the Banks Act and Regulations relating to banks, the financial results presented below have been prepared in accordance with International Financial Reporting Standards issued from time to time, with additional disclosure when required. While branches of foreign banks are not required to publish financial statements, the information provided below is required in terms of their Pillar 3 disclosures.

Financial position/balance sheet1

The balance sheet reflects what the branch owns, owes and the equity that is attributable to shareholders at 31 December 2017.1 Source: 31 December BA 100 (audited).

December2017

R’000

December2016

R’000

AssetsCash and balances with central bank 87 132 47 447 Short-term negotiable securities 1 530 755 1 800 610 Loans and advances to customers 5 694 748 4 002 465 Investment and trading securities 149 605 –Derivative financial instruments 2 892 606 4 378 282 Property and equipment 574 512 Current income tax receivables – 1 989 Deferred income tax assets 21 096 30 898 Other assets 57 241 129 211

Total assets 10 433 757 10 391 414

LiabilitiesDeposits, current accounts and other creditors 6 089 442 4 682 716 Derivative financial instruments and other trading liabilities 2 933 181 4 329 582 Other liabilities 94 142 91 792

Total liabilities 9 116 765 9 104 090

EquityTotal equity attributable to equity holders 1 316 992 1 287 324 Donation capital 884 639 884 639 Retained earnings 432 353 402 685

Total equity 1 316 992 1 287 324

Total equity and liabilities 10 433 757 10 391 414

Results of operations/income statement2

The income statement reflects the revenue generated by the branch as well as the costs incurred in generating that revenue for the year ended 31 December 2017.

2 Source: 31 December BA 120 (audited).December

2017R’000

December2016

R’000

Net interest income 95 685 164 483 Non-interest revenue 69 300 41 059

Operating income 164 985 205 542 Operating expenses 123 201 175 446

Profit before income tax 41 784 30 096 Income tax 12 119 9 827

Profit for the year 29 665 20 269


Financial position continued

Capital adequacyIn terms of the requirements of the Banks Act and Regulations relating to banks, the branch has complied with the minimum capital requirements for the period under review.

The branch’s regulatory capital is split into two tiers: — Tier 1 capital, which is comprised solely of Common Equity Tier 1 capital, which includes donation capital, and appropriated retained earnings — Tier 2 capital, which includes a general allowance for credit impairment.

The minimum capital requirements are defined by three ratios: — Common Equity Tier 1 capital as a percentage of risk weighted assets — Tier 1 capital as a percentage of risk weighted assets — Total qualifying capital as a percentage of risk weighted assets.

RWADecember

2017R’000

RWADecember

2016R’000

Minimumcapital

requirements1

December2017

R’000

1 Credit risk (excluding counterparty credit risk) (CCR) 1 715 632 1 372 798 184 430 2 Of which standardised approach (SA) 1 715 632 1 372 798 184 430 3 Of which: internal ratings-based (IRB) approach – – –4 Counterparty credit risk 3 164 854 2 850 054 340 222 5 Of which standardised approach for counterparty credit risk (SA-CCR) – – –6 Of which internal model method (IMM) – – –

Of which current exposure method (CEM) 3 164 854 2 850 054 340 2227 Equity positions in banking book under market-based approach – – –8 Equity investments in funds – look-through approach – – –9 Equity investments in funds – mandate-based approach – – –10 Equity investments in funds – fall-back approach – – –11 Settlement risk – – –12 Securitisation exposures in banking book – – –13 Of which: securitisation internal ratings-based approach (SEC-IRBA) – – –14 Of which: securitisation external ratings-based approach (SEC-ERBA),

including internal assessment approach (IAA) – – –15 Of which: securitisation standardised approach (SEC-SA) – – –16 Market risk 66 650 54 638 7 165 17 Of which standardised approach (SA) 66 650 54 638 7 165 18 Of which internal model approaches (IMA) – – –19 Operational risk 336 964 308 655 36 224 20 Of which basic indicator approach 336 964 308 655 36 224 21 Of which standardised approach (SA) – – –22 Of which advanced measurement approach – – –23 Amounts below the thresholds for deduction (subject to

250% risk weight) 52 740 49 500 5 670 24 Floor adjustment – – –25 Other assets risk 34 336 58 023 3 691

Total (1+4+7+8+9+10+11+12+16+19+23+24+25) 5 371 176 4 693 668 577 401 1 Minimum capital requirements. This value is 10.75%, consisting of a Pillar 1 requirement of 8.00%, Pillar 2A of 1.50%, and a phased in capital conservation

buffer of 1.25%.


Capital compositionThe branch is applying the Basel III regulatory adjustments in full as implemented by the South African Reserve Bank (SARB).

December2017

R’000

December2016

R’000

Tier 1Common Equity Tier 1 capital: instruments and reserves 1 285 667 1 285 667

Donation capital 884 639 884 639Retained earnings 401 028 401 028

Common Equity Tier 1 capital: regulatory adjustments (20 284) (34 788)Deferred tax assets – (11 098)Debit value adjustment: cumulative gains and losses due to changes in own credit risk on fair valued liabilities (20 284) (23 690)

Tier 1 capital (T1) 1 265 383 1 250 879

Tier 2Provisions 21 445 31 484

Tier 2 capital (T2) 21 445 31 484

Total capital (TC = T1 + T2) 1 286 828 1 282 363

Total risk weighted assets 5 371 176 4 693 668

Capital ratiosCommon Equity Tier 1 (as a percentage of risk weighted assets) (%) 23.56 26.65Tier 1 (as a percentage of risk weighted assets) (%) 23.56 26.65Total capital (as a percentage of risk weighted assets) (%) 23.96 27.32

Reconciliation of accounting capital to regulatory capitalAccounting capital – as reported per audited financial statements 1 316 992 1 287 324

Donation capital 884 639 884 639 Retained earnings 432 353 402 685

Less: Unappropriated income (31 325) (1 657)

1 285 667 1 285 667Add: General allowance for credit impairments 21 445 31 484

1 307 112 1 317 151Less: Regulatory adjustments and deductions (20 284) (34 788)

Total regulatory capital 1 286 828 1 282 363


Leverage positionIllustrated below is DBJ’s leverage position as measured by the Basel III leverage ratio.

The leverage ratio was introduced as a complementary measure to the risk-based capital framework to help ensure broad and adequate capture of both the on and off-balance sheet sources of banks leverage.

This simple, non-risk-based “backstop” measure will restrict the build up of excessive leverage in the banking sector to avoid destabilising and deleveraging processes that can damage the broader financial system and the economy.

December2017

%

December2016

%

Leverage ratio 10.20 9.72Specified minimum ratio as per SARB 4 4


Risk management overviewThe diversity of our business model requires us to identify, assess, measure, aggregate and manage our risks, and to allocate our capital among our businesses. Our aim is to help reinforce our resilience by encouraging a holistic approach to the management of risk and return throughout our organisation as well as the effective management of our risk, capital and reputational profile. We actively take risks in connection with our business and as such the following principles underpin our risk management framework:

— Risk is taken within a defined risk appetite — Every risk taken needs to be approved within the risk management framework — Risk taken needs to be adequately compensated — Risk should be continuously monitored and managed.

We promote a strong risk culture where employees at all levels are responsible for the management and escalation of risks. We expect employees to exhibit behaviours that support a strong risk culture in line with our Code of Business Conduct and Ethics. To promote this, our policies require that risk-related behaviour is taken into account during our performance assessment and compensation processes. In addition, our management board members and senior management frequently communicate the importance of a strong risk culture to support a consistent tone from the top.

In 2017, we also introduced a principles-based assessment of risk culture, in particular focusing on risk awareness, risk ownership and management of risk within risk appetite. Assessment results are incorporated into existing risk reporting, reinforcing the message that risk culture is an integral part of effective day-to-day risk management.

Overall risk assessmentKey risk categories for the branch include credit risk, market risk, operational risk (including legal risk), business risk (strategic risk), reputational risk, liquidity risk and model risk. We manage the identification, assessment and mitigation of top and emerging risks through an internal governance process and the use of risk management tools and processes. Our approach to identification and impact assessment aims to ensure that we mitigate the impact of these risks on our financial results, long-term strategic goals and reputation.

Risk management frameworkDeutsche Bank operates as an integrated group through its business divisions and infrastructure functions. At DBJ branch level, risk and capital are managed via a framework of principles, organisational structures and measurement and monitoring processes that are closely aligned with the activities of the divisions and business units. This policy is structured along the following four building blocks of the risk management framework of DB Group, as illustrated below:

— Risk governance and strategy — Risk management by major risk category — Risk methods – analytics and modelling — Risk infrastructure, policies and documentation.


Risk management overview continued

Risk governance and strategy (Refer to Group risk report for comprehensive assessment which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf)

From an internal governance perspective, we have several layers of management to provide cohesive risk governance: — The South Africa EXCO, which has overall responsibility to exercise governance over the proper functioning of each business and infrastructure function — The Asset and Liability Committee of DBJ (ALCO) fulfils the role of the local capital and risk committee (CaR). The ALCO also provides the forum for managing the capital, funding and liquidity risk of DBJ. Regular ALCO voting members include representatives of finance, treasury, EXCO, representatives of the various business divisions and risk management. The ALCO has responsibility for aligning the capital requirements as well as liquidity and funding needs of DBJ’s activities, within the risk profile of the businesses and risk appetite of the bank. It reviews the capital, liquidity and funding profile on a regular basis and decides on measures to avoid regulatory and/or bank-internal limit breaches. The ALCO establishes a link between the local, regional and Group’s perspective on capital, liquidity and funding. — The chief risk officer (CRO) is responsible for the monitoring and governance of risk management relating to DBJ and all its associated legal entities. Risk areas of focus include credit, operational, market and further oversight over liquidity and capital management.

Risk management by major risk category(Refer to Group risk report for comprehensive assessment which can be found athttps://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf)

— An overview of significant risks faced by DBJ, together with methods employed in respect of the management thereof, follow in this report under the headings of credit, operational, market, liquidity and interest rate risk. The local ALCO has overall responsibility for identifying and assessing all relevant risks.

Risk methods – analytics and modelling(Refer to Group risk report for comprehensive assessment which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf)

— Risk measurement methods are primarily developed and performed centrally by DB Group risk management functions in collaboration with DBJ’s finance and risk management staff. Regular training is held and ongoing updates are provided by the Group to ensure full understanding of methodologies. The Group’s methodologies are also adapted and extended if required to comply with specific local regulatory requirements (e.g. for specific stress testing purposes).

Risk infrastructure, policies and documentation(Refer to Group risk report for comprehensive assessment which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf)

— Risk infrastructure is established at Group level, and DBJ is supported by the Group’s existing infrastructure and processes. Furthermore, DBJ has its own infrastructure, processes and policies in place that complement the Group’s standards. In the case of more stringent local requirements, DBJ supplements the Group standards and follows local regulatory requirements as defined in the Banks Act and Regulations upon agreement with DB Group.


Credit riskCredit risk arises from all transactions where actual, contingent or potential claims against any counterparty, borrower, obligor or issuer (which we refer to collectively as “counterparties”) exist, including those claims that we plan to distribute. These transactions are typically part of our non-trading lending activities (such as loans and contingent liabilities) as well as our direct trading activity with clients (such as OTC derivatives). Based on the annual risk identification and materiality assessment, credit risk is grouped into five categories, namely default/migration risk, country risk, transaction/settlement risk (exposure risk), mitigation (failure) risk and concentration risk.

— Default risk is the risk that a counterparty defaults on its payment obligations or experiences material credit quality deterioration increasing the likelihood of a default — Country risk is the risk that otherwise solvent and willing counterparties are unable to meet their obligations due to direct sovereign intervention or policies — Transaction/settlement risk (exposure risk) is the risk that arises from any existing, contingent or potential future positive exposure — Mitigation risk is the risk of higher losses due to risk mitigation measures not performing as anticipated — Concentration risk is the risk of an adverse development in a specific single counterparty, country, industry or product leading to a disproportionate deterioration in the risk profile of Deutsche Bank’s credit exposures to that counterparty, country, industry or product.

An overview of the risk management responsibilities, processes and methods follow, with more detailed information in our Group risk report which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf (refer to pages 58 to 65).

Credit risk responsibilities and processesDB’s credit risk appetite is set globally and is broken down to divisions and business units via the strategic, risk and capital plan approved by the management board of Deutsche Bank Group. As a result, each credit exposure is authorised only if the relevant business division at Deutsche Bank global level is satisfied that the exposure meets the pre-set criteria and limits.

Credit risk management (CRM) is globally organised and carries out risk identification, assessments, management and reporting. The CRM department is independent from the business. Accordingly, the credit policies of DB Group are adopted and the CRO is responsible for ensuring that they remain suitable for the business of DBJ.

Credit risk is managed for DB Group globally on the basis of a “one obligor principle”. New credit exposures as well as annual/bi-annual reviews of credit exposures require approval by the appropriate authority holder covering the entire DB Group exposure. All credit risk decisions relevant to DBJ are subject to the approval of DBJ’s management and Deutsche Bank’s CRM.

Management of limitsGlobal limits are monitored by CRM at DB Group level via a credit IT system based on the risk appetite approved by the Group management board. DB measures and aggregates all exposures to the same obligor (one obligor principle). At DBJ, the ultimate responsibility for management of the credit risk limits resides with the CRO function. All credit limits and exposures are monitored on a frequent basis and reviewed at least quarterly. Individually significant transactions that subject DBJ to credit risk are subject to rigorous local review and sign-off prior to commitment.

Monitoring and management of concentrationsThe large exposure regulations and credit policies on Group level limiting concentration risk are adopted for DBJ. Besides the limits of DB Group, there are the regulatory single-name and portfolio limits in place as described on the previous page. Both limits are monitored by risk management function. Credit risk concentration is not only closely monitored at a single-name level, but also on an industry and country basis.

Credit risk mitigation techniquesIn addition to determining counterparty credit quality and our risk appetite, we also use various credit risk mitigation techniques to optimise credit exposure and reduce potential credit losses. Credit risk mitigants are applied in the following forms:

— Comprehensive and enforceable credit documentation with adequate terms and conditions — Collateral held as security to reduce losses by increasing the recovery of obligations — Risk transfers, which shift the loss arising from the probability of default risk of an obligor to a third party, including hedging executed by our credit portfolio strategies group — Netting and collateral arrangements which reduce the credit exposure from derivatives and securities financing transactions (e.g. repo transactions).


Basel approaches adopted to measure riskCredit riskThe branch currently applies the standardised approach for its credit portfolios.

Counterparty credit riskThe branch currently applies the current exposure method for its portfolios subject to counterparty credit risk.

The section below presents key measurement metrics of DBJ’s credit position as at 31 December 2017, as required by the revised Pillar 3 disclosures.

Credit quality of assetsThe table below provides a comprehensive picture of the credit quality of a bank’s on and off-balance sheet assets.

Gross carrying values of

Defaulted exposures

R’000

Non-defaulted

exposuresR’000

Allowances/impairments

R’000

Net valuesR’000

1 Loans – 6 678 167 21 445 6 656 722 2 Debt securities – 1 680 359 – 1 680 359 3 Off-balance sheet exposures – 3 254 476 – 3 254 476

4 Total – 11 613 002 21 445 11 591 557

Changes in stock of defaulted loans and debt securitiesThe table below identifies the changes in a bank’s stock of defaulted exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.

December2017

1 Defaulted loans and debt securities at the end of the previous reporting period –2 Loans and debt securities that have defaulted since the last reporting period –3 Returned to non-defaulted status –4 Amounts written off –5 Other changes –6 Defaulted loans and debt securities at the end of the reporting period (1+2-3-4±5) –

Credit risk mitigation techniques – overview The table below discloses the extent of use of credit risk mitigation techniques.

Exposures unsecured:

carrying amount

R’000

Exposures secured by

collateralR’000


collateral, of which:

secured amount

R’000


financial guarantees

R’000


financial guarantees,

of which: secured amount

R’000


credit derivatives

R’000


credit derivatives,

of which: secured amount

R’000

1 Loans 4 894 638 1 762 084 1 716 010 – – – –2 Debt securities 1 680 359 – – – – – –

3 Total 6 574 997 1 762 084 1 716 010 – – – –

4 Of which defaulted – – – – – – –

Credit risk continued


Standardised approach – credit risk exposure and CRM effectsThe table below illustrates the effect of CRM (comprehensive and simple approach) on standardised approach capital requirements’ calculations. RWA density provides a synthetic metric on riskiness of each portfolio.

Exposures before CCF and CRM

Exposures post-CCF and CRM RWA and RWA density

On-balance sheet

amountR’000

Off-balance sheet

amountR’000

On-balance sheet

amountR’000

Off-balance sheet

amountR’000

RWAR’000

RWA density

%

Asset classesSovereigns and their central banks 1 680 359 – 1 680 359 – – –Non-central government public sector entities 1 686 579 – 109 403 – 21 881 20Multilateral development banks – – – – – –Banks 1 886 227 – 3 463 403 – 23 969 1Securities firms 1 762 084 2 453 614 46 075 – 46 075 100Corporates 1 321 832 800 862 1 321 832 280 431 1 623 708 101Regulatory retail portfolios – – – – – –Secured by residential property – – – – – –Secured by commercial real estate – – – – – –Equity – – – – – –Past due loans – – – – – –Higher risk categories – – – – – –Other assets – – – – – –

Total 8 337 081 3 254 476 6 621 071 280 431 1 715 632 25


Credit risk continued

Standardised approach – exposures by asset classes and risk weightsThe table below presents the breakdown of credit risk exposures under the standardised approach by asset class and risk weight (corresponding to the riskiness attributed to the exposure according to standardised approach).

Asset class/risk weight0%

R’00010%

R’00020%

R’00035%

R’00050%

R’00075%

R’000100%R’000

150%R’000

OthersR’000

Total credit

exposures amount

(post-CCF and post-

CRM)R’000

Sovereigns and their central banks 1 680 359 – – – – – – – – 1 680 359 Non-central government public sector entities – – 109 403 – – – – – – 109 403 Multilateral development banks – – – – – – – – – –Banks 3 415 370 – 159 – 47 874 – – – – 3 463 403 Securities firms – – – – – – 46 075 – – 46 075 Corporates – – – – – – 1 623 708 – – 1 623 708 Regulatory retail portfolios – – – – – – – – – –Secured by residential property – – – – – – – – – –Secured by commercial real estate – – – – – – – – – –Equity – – – – – – – – – –Past due loans – – – – – – – – – –Higher risk categories – – – – – – – – – –Other assets – – – – – – – – – –

Total 5 095 729 – 109 561 – 47 874 – 1 669 782 – – 6 922 947

Analysis of counterparty credit risk exposure by approach

Replacement cost

R’000

Potential future

exposureR’000

EEPER’000

Alpha used for computing

regulatory EAD

R’000

EAD post- CRM

R’000RWA

R’000

1 CEM (for derivatives) 2 232 806 2 080 111 4 050 487 1 456 597 2 Internal model method (for

derivatives and SFTs) – – – –3 Simple approach for credit risk

mitigation (for SFTs) – –4 Comprehensive approach for credit

risk mitigation (for SFTs) 6 972 –5 VaR for SFTs – –

6 Total 1 456 597


Credit valuation adjustment (CVA) capital chargeThe table provides the CVA regulatory calculations (with a breakdown by standardised and advanced approaches).

EAD post-CRM

R’000RWA

R’000

1 Total portfolios subject to the advanced CVA capital charge(i) VaR component (including the 3× multiplier)(ii) Stressed VaR component (including the 3× multiplier)

2 All portfolios subject to the standardised CVA capital charge 1 316 395 1 708 257

Total subject to the CVA capital charge 1 316 395 1 708 257

Standardised approach – CCR exposures by regulatory portfolio and risk weightsThe table provides a breakdown of counterparty credit risk exposures calculated according to the current exposure method approach: by portfolio (type of counterparties) and by risk weight (riskiness attributed according to standardised approach).

Regulatory portfolio0%

R’00010%

R’00020%

R’00050%

R’00075%

R’000100%R’000

150%R’000

OthersR’000

Total credit

exposureR’000

Sovereigns 26 695 – – – – – – – 26 695 Non-central government public sector entities – – 6 352 2 679 – – – – 9 031 Multilateral development banks – – – – – – – – –Banks 2 560 499 – 593 13 547 – 105 084 – – 2 679 723 Securities firms – – – – – 181 923 – – 181 923 Corporates – – – – – 1 160 089 – – 1 160 089 Regulatory retail portfolios – – – – – – – – –Other assets – – – – – – – – –

Total 2 587 194 – 6 945 16 226 – 1 447 095 – – 4 057 459

Composition of collateral for CCR exposureThe table provides a breakdown of all types of collateral posted or received by banks to support or reduce the counterparty credit risk exposures related to derivative transactions or to SFTs, including transactions cleared through a central clearing counterparty (CCP).

Collateral used in derivative transactions Collateral used in SFTs

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral

receivedR’000

Fair value of posted collateral

R’000Segregated

R’000Unsegregated

R’000Segregated

R’000Unsegregated

R’000

Cash – domestic currency – – – – – –Cash – other currencies – – – – – –Domestic sovereign debt 279 180 – – – 134 959 –Other sovereign debt – – – – – –Government agency debt – – – – – –Corporate bonds – – – – – –Equity securities – – – – – –Other collateral – – – – – –

Total 279 180 – – – 134 959 –


Liquidity riskLiquidity risk is the risk arising from our potential inability to meet all payment obligations when they come due or only being able to meet these obligations at excessive costs. Management of liquidity risk at DBJ is fully integrated into the Group’s liquidity risk management framework. The principal objective of liquidity management is to ensure DBJ’s ability at all times to meet payment obligations when they come due. DBJ manages liquidity risk in line with the overall Group’s liquidity risk management framework and according to policies and guidelines set locally by treasury. The internal liquidity adequacy assessment policy (ILAAP) provides comprehensive documentation of the Bank’s liquidity risk management framework, including: identifying the key liquidity and funding risk to while the Group is exposed; describing how these risk are identified, monitored and measured and describing the techniques and resources used to manage and mitigate these risks.

An overview of the risk management responsibilities, processes and methods follow, with more detailed information in our Group risk report which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf(refer to pages 76 to 80).

Monitoring and management of liquidity risk limitsSeveral tools/metrics are used to measure and manage short and long-term liquidity risk at DBJ level including but not limited to daily MCO, stressed net liquidity position (SNLP), intra-group funding lines and utilisation, funding matrix, regulatory liquidity coverage ratio (LCR) and net stable funding ratio (NSFR).

Key liquidity ratios and figures are monitored in the ALCO report on a regular basis and form the basis of liquidity reports.

Liquidity risk mitigationTreasury may decide to temporarily reduce limits in the event of contingency situations to reduce (potential) liquidity risk. Additional local contingency measures form part of a local contingency plan including a stress funding line available to the branch from the Group’s liquid asset pool. The bank does not consider additional capital as an appropriate mitigant for liquidity risk.


Liquidity Coverage RatioIllustrated below is DBJ’s short-term liquidity position as measured by the LCR. The minimum requirements of the LCR follow an internationally agreed phase-in arrangement with the minimum required LCR being 60% as of 1 January 2015 increasing annually by 10% to a required minimum of 100% as of 1 January 2019. DBJ has decided to adopt the minimum of 100% effective 1 January 2015 prior to full phase in.

Deutsche Bank AG – Johannesburg Branch

Total unweighted

value 31 December

2017R’000

Total weighted

value 31 December

2017R’000

High-quality liquid assets1 Total HQLA 1 769 873 1 769 873

Cash outflows2 Retail deposits and deposits from small business customers, of which: – –3 Stable deposits – –4 Less stable deposits – –5 Unsecured wholesale funding, of which: 4 458 264 1 446 191 6 Operational deposits (all counterparties) and deposits in networks of co-operative banks – –7 Non-operational deposits (all counterparties) 4 458 264 1 446 1918 Unsecured debt – –9 Secured wholesale funding – –10 Additional requirements, of which: – –11 Outflows related to derivative exposures and other collateral requirements – –12 Outflows related to loss of funding on debt products – –13 Credit and liquidity facilities 3 254 476 190 76714 Other contractual funding obligations – –15 Other contingent funding obligations – –

16 Total cash outflows 7 712 740 1 636 958

Cash inflows17 Secured lending (e.g. reverse repos) – –18 Inflows from fully performing exposures 2 902 140 2 527 59719 Other cash inflows 171 249 92 021

20 Total cash inflows 3 073 389 2 619 618

21 Total HQLA 1 769 87321 Total net cash outflows 409 240

23 Liquidity coverage ratio (%) 432

Quarter ended December

2017

LCR for the period 1 October 2017 to 31 December 20171 Total HQLA 1 956 375 2 Total net cash outflows 450 538 3 Liquidity coverage ratio (%) 437


Operational riskOperational risk means the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, and includes legal risk. Operational risk excludes business and reputational risk. It forms a subset of the bank’s non-financial risks, as does reputational risk.

The governance of operational risks follows the three lines of defence (3LoD) approach, to protect the bank, its customers and shareholders against risk losses and resulting reputational damages. It seeks to ensure that all our operational risks are identified and covered, that accountabilities regarding the management of operational risks are clearly assigned and risks are taken on and managed in the best and long-term interest of the Bank. The 3LoD approach and its underlying principles, i.e. the full accountability of the first line of defence (1st LoD) to manage its own risks and the existence of an independent second line of defence (2nd LoD) to oversee and challenge risk taking and risk management, applies to all levels of the organisation including Group level, regions, countries and legal entities.

In 2017, we enhanced the operational risk management framework (ORMF) and the management of operational risks by simplifying our risk management processes, focusing on the identification of the most material operational risks and their effective mitigation, and by promoting an active and continuous dialogue between the 1st and 2nd LoDs. This allows challenge to be raised throughout the various risk management processes and makes the management of operational risks more transparent, meaningful and embedded in day-to-day business decisions.

DBJ manages operational risks by employing the tools and processes provided by our ORMF, which enables us to determine our operational risk profile in comparison to our risk appetite for operational risk, to systematically identify operational risk themes and concentrations, and to define risk mitigating measures and priorities.

An overview of the risk management responsibilities, processes and methods follow, with more detailed information in our Group risk report which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_management_report.pdf(refer to pages 71 to 75).

Operational risk responsibilities and processesGroup operational risk management (Group ORM) is a portfolio risk management function for operational risk and is responsible for developing and maintaining the Group ORMF, defining the roles and responsibilities for the OR management process to identify, assess, mitigate, monitor, report and escalate operational risks. Group ORM is mandated to define an effective risk management framework and outline the components, processes and responsibilities for a consistent management across all Deutsche Bank divisions/infrastructure functions/legal entities for all operational risk types.

The Group ORMF defines the consistent management of risk across all operational risk types and comprises a numbers of processes, specified in the “operational risk management policy”:

— Timely and complete OR identification/loss capture through continuous collection of internal operational risk events and external loss information. Internal scenarios are also developed to complete the Bank’s risk profile — Timely, accurate and complete assessment of risks and controls mainly through a comprehensive risk and control assessment (R&CA), lessons learned and read across processes — Holistic and efficient risk mitigation/risk acceptance within the defined operational risk appetite/tolerance — Effective risk and mitigation monitoring — Timely, accurate and effective risk reporting/escalation.

DBJ is covered within the existing Group ORMF. This Group ORMF governs issues such as reporting, recording and escalation of OR events and losses. At local level all business units in addition to risk are responsible for adequate monitoring and reporting to ORM.

Operational risk monitoring and management Flashcards are prepared on a regular basis representing current operational risks in DBJ and are reviewed and discussed with the regional ORM. The flashcard is built on new operational risk events that have taken place, trend analysis and economic capital over the past quarters and key actions agreed and tracked via a DB tool.


Operational risk mitigation techniquesOnce operational risks are identified and assessed, a determination of the most appropriate action is required within the risk specific appetite through remediation actions, insurance, risk acceptance or by ceasing/reducing business activities.

The Group ORMF supports these decisions, based on an evaluation of remediation costs and potential impacts, resulting in three possible mitigating strategies:

— Self-identified issue: control gaps or weaknesses are supported by remediation actions and monitored to resolution in a timely manner — Risk acceptance: where remediation is not feasible, having appropriate regard to cost of control and potential impacts, risks may be accepted subject to appropriate evaluation and governance — Ceasing or reducing business activities.

As part of DB Group’s operational risk mitigation, risk transfer comprehends the use of all kind of insurance lines available in any market worldwide but is limited to the mitigation of insurable risk only. These policies cover a variety of risks including professional indemnity, errors and omissions liability, directors and officers liability and credit risks. The insurance covers DB AG and all majority owned subsidiaries.

Basel approaches adopted to measure riskThe branch currently applies the basic indicator approach for operational risk.

Operational risk: risk weighted assets

December 2017

R’000

December 2016

R’000

Operational risk 336 964 308 655


Market riskThe vast majority of our businesses are subject to market risk, defined as the potential for change in the market value of our trading and invested positions. Risk can arise from changes in interest rates, credit spreads, foreign exchange rates, equity prices, commodity prices and other relevant parameters, such as market volatility and market implied default probabilities.

One of the primary objectives of market risk management (MRM), a part of our independent risk function, is to ensure that our business units’ risk exposure is within the approved appetite commensurate with its defined strategy. To achieve this objective, MRM works closely together with risk takers (the business units) and other control and support groups.

We distinguish between three substantially different types of market risk: — Trading market risk arises primarily through the market-making and client facilitation activities of the corporate and investment bank corporate division. This involves taking positions in debt, equity, foreign exchange, other securities and commodities as well as in equivalent derivatives — Traded default risk arising from defaults and rating migrations relating to trading instruments — Non-trading market risk arises from market movements, primarily outside the activities of our trading units, in our banking book and from off-balance sheet items. This includes interest rate risk, credit spread risk, investment risk and foreign exchange risk as well as market risk arising from our pension schemes, guaranteed funds and equity compensation. Non-trading market risk also includes risk from the modelling of client deposits as well as savings and loan products.

Market risks assumed by DBJ are managed by the MRM department as part of MRM’s global risk management framework.

DBJ passes on the majority of its market risk to DB Group by entering into risk transfer trades which mirror external market risk assumed.

An overview of the risk management responsibilities, processes and methods follow, with more detailed information in our Group risk report which can be found athttps://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf (refer to pages 66 to 71).

Market risk responsibilities and processesOur primary mechanism to manage trading market risk is the application of our risk appetite framework of which the limit framework is a key component. Our management board, supported by MRM, sets Group-wide value-at-risk, economic capital and portfolio stress testing limits for market risk in the trading book. MRM allocates this overall appetite to our corporate divisions and individual business units within them based on established and agreed business plans. We also have business aligned heads within MRM who establish business limits, by allocating the limit down to individual portfolios, geographical regions and types of market risks. The types of risks that are assumed by DBJ may include one or more of these market risk types.

Value-at-risk, economic capital and portfolio stress testing limits are used for managing all types of market risk at an overall portfolio level. As an additional and important complementary tool for managing certain portfolios or risk types, MRM performs risk analysis and business specific stress testing. Limits are also set on sensitivity and concentration/liquidity, exposure, business-level stress testing and event risk scenarios, taking into consideration business plans and the risk versus return assessment.

Business units are responsible for adhering to the limits against which exposures are monitored and reported. The market risk limits set by MRM are monitored on a daily, weekly and monthly basis, dependent on the risk management tool being used.

Management of limitsDBJ is integrated into Deutsche Bank Group’s global limit system, which is defined, monitored and controlled by MRM. MRM supports the use of key risk management metrics to monitor the bank’s market risks.


Market risk monitoring and management Market risk measures are calculated on a daily basis by market risk operations (MRO) centrally and exposures monitored against the established limits, if applicable. Risk reports are sent daily to businesses as well as submitted to oversight functions on a daily basis.

Basel approaches adopted to measure riskThe branch currently applies the standardised approach against portfolios that attract market risk.

Market risk under standardised approachThe table presents the components of the capital requirement under the standardised approach for market risk.

Market risk: risk weighted assets

Risk weighted assets

December 2017

R’000

December 2016

R’000

Outright products1 Interest rate risk (general and specific) 47 513 –2 Equity risk (general and specific) – –3 Foreign exchange risk 19 137 54 635 4 Commodity risk – –

Options5 Simplified approach – –6 Delta-plus method – –7 Scenario approach – –8 Securitisation – –

9 Total 66 650 54 635


Interest rate risk in the banking bookInterest rate risk in the banking book (IRRBB) is the current or prospective risk, to both the bank’s capital and earnings, arising from movements in interest rates, which affect the Bank’s banking book exposures. This includes gap risk, which arises from the term structure of banking book instruments, basis risk, which describes the impact of relative changes in interest rates for financial instruments that are priced using different interest rate curves, as well as option risk, which arises from option derivative positions or from optional elements embedded in financial instruments.

The Bank manages its IRRBB exposure using economic value as well as earnings-based measures. Our Group treasury division is mandated to manage the interest rate risk centrally on a fiduciary basis, with MRM acting as an independent oversight function.

In DBJ the majority of the interest rate risk arising from non-trading asset and liability positions has been transferred through internal transactions to treasury pool management, subject to banking book value-at-risk limits. Treasury pool management hedges the transferred net banking book risk with Deutsche Bank’s trading books within the CIB division. The treatment of interest rate risk in our trading portfolios and the application of the value-at-risk model is discussed in detail in “market risk section” of the Group risk report. The market risk value-at-risk limits set by MRM are monitored on a daily, weekly and monthly basis. The measurement and reporting of interest rate risk in the banking book is reported on a monthly basis to the local regulator.

The equity sensitivity analysis below shows how the value of DBJ’s equity would be impacted by a 200 basis point increase or decrease in interest rates.

Economic value of equity sensitivity

December 2017

R’000

December 2016

R’000

200 basis points parallel shiftIncrease 4 524 (21 287)Decrease (4 524) 21 287

The maximum negative change of present values of the banking book positions when applying the regulatory required parallel yield curve shifts of (200) and +200 basis points was 0.4% of our total regulatory capital at 31 December 2017. Consequently, outright interest rate risk in the banking book is considered immaterial for the branch.

Equity risk in the banking bookDBJ is not exposed to equity position risk.

Other risksOther risk includes business (strategic) risk, model risk and reputational risk. For detailed disclosures on these risks please refer to the 2017 Group risk report which can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_risk_report.pdf (refer to pages 80 and 81).


RemunerationCompensation strategyDeutsche Bank recognises that its compensation system plays a vital role in supporting its strategic objectives. It enables us to attract and retain the individuals required to achieve our bank’s objectives. The Group compensation strategy is aligned to Deutsche Bank’s strategic objectives and to its corporate values and beliefs. The Group compensation policy informs our employees with regard to our compensation strategy, governance processes as well as compensation practices and structures. Together, the Group compensation strategy and the Group compensation policy provide a clear link between compensation practices and the wider Group strategy. Both documents have been published on our intranet site and are available to all employees.

Total compensation frameworkOur compensation framework aligns incentives for sustainable performance at all levels of Deutsche Bank while enhancing the transparency of compensation decisions and their impact on shareholders and employees. The framework puts an appropriate balance on fixed pay over variable compensation (VC) – together the “total compensation”.

In 2016, we introduced a new concept of “reference total compensation” for each employee, that describes a reference value for their role. This reference provides our employees orientation on their fixed pay and VC. Actual individual total compensation can be at, above or below the reference total compensation, based on Group affordability, and performance expectations having been satisfied at Group, divisional and individual levels, as determined by Deutsche Bank at its sole discretion.

Fixed pay is used to compensate employees for their skills, experience and competencies, commensurate with the requirements, size and scope of their role. The appropriate level of fixed pay is determined with reference to the prevailing market rates for each role, internal comparisons and applicable regulatory requirements. It plays a key role in permitting us to meet our strategic objectives by attracting and retaining the right talent. For the majority of our employees, fixed pay is the primary compensation component, and the share of fixed compensation within total compensation is greater than 50%. This is appropriate to many businesses and will continue to be a significant feature of total compensation going forward.

VC allows to differentiate individual performance and to drive behaviour through appropriate incentive systems that can positively influence culture. It also allows for flexibility in the cost base. VC generally consists of two elements – the “Group VC component” and the “individual VC component”. The “individual VC component” is delivered either in the form of “individual VC” (generally starting at the senior level of vice-president (VP) and above) or as “recognition award” (generally starting at the senior level of assistant vice-president (AVP) and below). Under our compensation framework, there continues to be no guarantee of VC in an existing employment relationship.

The Group VC component is based on one of the overarching goals of the compensation framework – to strengthen the link between VC and the performance of the Group. The management board decided to align the “Group VC component” directly and in a manner comprehensible for the employees to Deutsche Bank’s achievements in reaching strategic targets. To assess progress towards the strategic aspirations, four key performance indicators (KPIs) are utilised: Common Equity Tier 1 (CET 1), capital ratio (fully loaded), leverage ratio, adjusted costs and post-tax return on tangible equity (RoTE). These four KPIs represent important metrics for the capital, risk, cost and the revenue profile of our bank and provide an indication of the sustainable performance of Deutsche Bank.

Individual VC takes into consideration a number of financial and non-financial factors, including the applicable divisional performance, the employee’s individual performance and conduct, the comparison with the employee’s peer group and retention considerations.

Recognition awards provide the opportunity to acknowledge and reward outstanding contributions made by the employees of lower seniority levels in a transparent and timely manner. Generally, the size of the recognition award programme is directly linked to a set percentage of fixed pay for the eligible population and it is paid out twice a year, based on a review of nominations and contributions at divisional level.


Remuneration continued

Total compensation is complemented by employee benefits which may be linked to employment or seniority, but have no direct link to performance. They are granted in accordance with applicable local market practice and requirements. Recognition awards and benefits (including company pension schemes) are not part of an employee’s reference total compensation.

DBJ is subject to the Group’s compensation framework, as outlined above, further details can be found at https://annualreport.deutsche-bank.com/2017/ar/servicepages/downloads/files/dbfy2017_compensation_report.pdf.

Illustrated below is salient information with respect to branch management remuneration as of 31 December 2017.

The table below sets out the key components of the remuneration expense bourne by DBJ in respect of the year ended 31 December 2017:

Fixed compensation

R’000

Variablecash bonus

expenseR’000

Deferred bonus

expenseR’000

Total expense

R’000

Branch management 23 805 4 989 17 119 45 913

The table below sets out a reconciliation of the deferred compensation, split between cash-based and equity-linked, awarded to branch management:

Deferred compensation

(1 January 2017) Awarded 2017 Paid 2017

Valuation/management

changes

Deferred compensation

(31 December 2017)

CashR’000

Equity-linkedR’000

CashR’000


CashR’000


CashR’000


CashR’000


Branch management 6 699 10 155 3 682 4 125 (4 862) (9 827) 157 4 227 5 676 8 680


Glossary of risk terms and definitions

Term Definition

Asset liability management Asset liability management is the ongoing process of formulating, implementing, monitoring and revising strategies related to banking book assets and liabilities in an attempt to:

— Maximise the interest margin — Manage the risk to earnings and capital from changes in financial market rates, which result from the branch’s mix of assets and liabilities.

ALM encompasses the management of liquidity risk, interest rate risk and exchange rate risk in the banking book through the use of both on and off-balance sheet instruments and strategies.

Banking book Bank assets, liabilities and off-balance sheet items that are not in the trading book.

Corporate governance Corporate governance encompasses the structures, systems, processes, procedures and controls within an organisation, at both board of directors level and within the management structure, that are designed to ensure the branch achieves its business objectives effectively, efficiently, ethically and within prudent risk management parameters.

Good governance requires that an effective risk management process exists that can ensure that the risks to which the branch is exposed are addressed effectively.

Currency Referred to as foreign exchange.

Hedge A risk management technique used to reduce the possibility of loss resulting from adverse movements in commodity prices, equity prices, interest rates or exchange rates arising from normal banking operations. Most often, the hedge involves the use of a financial instrument or derivative such as a forward, futures, option or swap. Hedging may prove to be ineffective in reducing the possibility of loss as a result of, inter alia, breakdowns in observed correlations between instruments, or markets or currencies and other market rates.

Hedging Action taken by the branch to reduce or eliminate the possibility of loss resulting from adverse movements in commodity prices, equity prices, interest rates or exchange rates.


Term Definition

Interest rate risk in the banking book (sub-risk of market risk in the banking book)

Interest rate risk in the banking book is the risk that the branch’s earnings or economic value will decline as a result of changes in interest rates. The sources of interest rate risk in the banking book are:

— Repricing risk (mismatch risk): timing differences in the maturity (for fixed-rate) and repricing (for floating-rate) of bank assets, liabilities, and off-balance sheet positions — Basis risk: imperfect correlation in the adjustment of the rates earned and paid on different instruments with otherwise similar repricing characteristics — Yield curve risk: changes in the shape and slope of the yield curve — Embedded options risk: the risk pertaining to interest-related options embedded in bank products.

Regulatory capital The total of Tier 1 and Tier 2 capital.

Risk Risk is anything which may prevent the bank from achieving its objectives or otherwise have an adverse impact on the bank.

Risk appetite The quantum of risk the branch is willing to accept in pursuit of its business strategy. Risk appetite is expressed quantitatively as risk measures such as economic capital and risk limits, and qualitatively in terms of policies and controls.

Risk weighted assets Risk weighted assets are determined by applying risk weights to balance sheet assets and off-balance sheet financial instruments according to the relative credit risk of the counterparty. The risk weighting for each balance sheet asset and off-balance sheet financial instrument is regulated by the South African Banks Act 94 of 1990.

Trading book Positions in financial instruments and commodities, including derivative products and other off-balance sheet instruments that are held with trading intent or to hedge other elements of the trading book. This will include financial instruments and commodities that:

— are held for short-term resale; or — are held with the intention of benefiting from short-term price variations; or — arise from broking and market making; or — are held to hedge other elements of the trading book.

Value-at-risk (VaR) Formally, the probabilistic bound of losses over a given period of time (the holding period) expressed in terms of a specified degree of confidence (the confidence interval). Put more simply, VaR is the worst-case loss expected over the holding period within the probability set out by the confidence interval. Larger losses are possible but with a lower probability.

For example: if a portfolio has a VaR of R10 million over a one-day holding period with a 95% confidence interval, the portfolio would have a 5% chance of suffering a one-day loss greater than R10 million.

Glossary of risk terms and definitions continued


Acronyms and abbreviations

A

ALCO – Asset and Liability Management Committee

B

BA – South African Banks Act 1990 (as amended)

BIA – Basic Indicator Approach

C

CaR – Capital and Risk Committee

CCP – Central Clearing Counterparty

CET1 – Common Equity Tier 1

CIB – Corporate and Investment Banking

CEM – Current Exposure Method

CPSG – Credit Portfolio Strategies Group

CSA – Credit Support Annexes

CRM – Credit Risk Management

CRO – Chief Risk Officer

D

DB – Deutsche Bank

DBJ – Deutsche Bank Johannesburg Branch

DAM – Deutsche Asset Management

E

EXCO – Executive Committee

F

FX – Foreign Exchange

G

GTB – Global Transaction Banking

GM – Global Markets

H

HQLA – High-Quality Liquid Assets

I

IT – Information Technology

ILAAP – Internal Liquidity Adequacy Assessment Policy

ISDA – International Swaps and Derivatives Association

L

LCR – Liquidity Coverage Ratio

M

MCO – Maximum Cash Outflow

MR – Market Risk

MRC – Minimum Required Capital

MRM – Market Risk Management

MRSA – Market Risk Standardised Approach

MRO – Market Risk Operations

N

NCOU – Non-Core Operations Unit

NPA – New Product Approval

NSFR – Net Stable Funding Ratio

NTMR – Non-traded Market Risk

O

OR – Operational Risk

OTC – Over The Counter

ORM – Operational Risk Management

R

RWA – Risk Weighted Assets

S

SA – Standardised Approach

SFT – Securities Financing Transactions

T

T1 – Tier 1 capital

T2 – Tier 2 capital

TC – Total Capital

TDR – Traded default risk

TLAC – Total Loss Absorbing Capacity

V

VaR – Value-at-risk


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